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20 Results

A Portfolio-Balance Model of Inflation and Yield Curve Determination

Staff Working Paper 2020-6 Antonio Diez de los Rios
How does the supply of nominal government debt affect the macroeconomy? To answer this question, we propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule.

Alternative Futures for Government of Canada Debt Management

This paper presents four blue-sky ideas for lowering the cost of the Government of Canada’s debt without increasing the debt’s risk profile. We argue that each idea would improve the secondary-market liquidity of government debt, thereby increasing the demand for government bonds and thus lowering their cost at issuance.

Government of Canada Fixed-Income Market Ecology

Staff Discussion Paper 2018-10 Léanne Berger-Soucy, Corey Garriott, André Usche

This discussion paper is the third in the Financial Markets Department’s series on the structure of Canadian financial markets. These papers are called “ecologies” because they study the interactions among market participants, infrastructures, regulations and the terms of the traded contract itself.

A Barometer of Canadian Financial System Vulnerabilities

Staff Analytical Note 2017-24 Thibaut Duprey, Tom Roberts
This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review.

Sovereign Default Risk Premia, Fiscal Limits and Fiscal Policy

Staff Working Paper 2011-10 Huixin Bi
We develop a closed economy model to study the interactions among sovereign risk premia, fiscal limits, and fiscal policy. The stochastic fiscal limits, which measure the ability and willingness of the government to service its debt, arise endogenously from a dynamic Laffer curve.
Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy, International topics JEL Code(s): E, E6, E62, H, H3, H30, H6, H60

Domestic versus External Borrowing and Fiscal Policy in Emerging Markets

Staff Working Paper 2007-33 Garima Vasishtha
Domestic public debt issued by emerging markets has risen significantly relative to international debt in recent years. Some recent empirical evidence also suggests that sovereigns have defaulted differentially on debt held by domestic and external creditors.
Content Type(s): Staff research, Staff working papers Topic(s): Debt management, International topics JEL Code(s): F, F3, F30, H, H2, H21, H6, H63